Sparse Non-Convex Optimization For Higher Moment Portfolio Management

preprint2022arXivOpen access

Abstract

One of the reasons that higher order moment portfolio optimization methods are not fully used by practitioners in investment decisions is the complexity that these higher moments create by making the optimization problem nonconvex. Many few methods and theoretical results exists in the literature, but the present paper uses the method of successive convex approximation for the mean-variance-skewness problem.

Explore this paper’s authors, topics and related work.

Building this map preview

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Reviews 0

Write a reviewWrite

No reviews yet.

Discussion 0

Add a commentWrite

No comments yet.